The Excel MDURATION Function

Related Function:
DURATION

Basic Description

The Excel Mduration function calculates the modified Macaulay Duration of a security that pays periodic interest, assuming a par value of $100.

The syntax of the function is :

MDURATION( settlement, maturity, coupon, yld, frequency, [basis] )

Where the arguments are as follows:

settlement - The settlement date of the security (ie. the date that the coupon is purchased)
maturity - The maturity date of the security (ie. the date that the coupon expires)
coupon - The security's annual coupon rate
yld - The security's annual yield
frequency -

The number of coupon payments per year. This must be one of the following:

1 - Annually
2 - Semi-Annually
4 - Quarterly
[basis] -

An optional integer argument which specifies the financial day count basis that is used by the security. Possible values are:

Basis Day Count Basis
0 (or omitted) US (NASD) 30/360
1 actual/actual
2 actual/360
3 actual/365
4 European 30/360
The financial day count basis rules are explained in detail on the Wikipedia Day Count Convention page

Note that the date arguments should be supplied to the function as either:

or

Warning:

- If you attempt to input the date arguments as text, these can be interpreted differently, depending on the date system and date interpretation settings on your computer.
- Although these dates can be supplied as serial numbers, this is not recommended, as date serial numbering varies across different computer systems.


Excel Mduration Function Example

The following spreadsheet uses the Excel Mduration function to calculate the modified Macaulay Duration of a security that with a settlement date 01-Apr-2010, a maturity date 31-Mar-2020 and a yield of 8%. The coupon rate is 10% and payments are made quarterly.

  A B
1 Settlement Date: 01-Apr-2010
2 Maturity Date: 31-Mar-2020
3 =MDURATION( B1, B2, 10%, 8%, 4 )

The above Mduration function returns the value 6.540828452 years.

Note that, in the above Mduration function call :


Further examples of the Excel Mduration function can be found on the Microsoft Office website.


Mduration Function Errors

If you get an error from the Mduration function, this is likely to be one of the following:

Common Errors
#VALUE! - Occurs if either:
- any of the supplied arguments are non-numeric
or
- the settlement or the maturity dates are not a valid Excel dates
#NUM! - Occurs if either:
- the settlement date is ≥ maturity date
or
- Invalid numbers are supplied for the coupon, yld, frequency or basis arguments

(i.e. if either: coupon < 0; yld < 0; frequency is any number other than 1, 2 or 4; or basis is any number other than 0, 1, 2, 3 or 4

#NAME? -

Occurs when Analysis ToolPak add-in is not enabled in your Excel.
You will need to enable the add-in if you want to use the Excel Mduration function.

  +   Show How to Do This in Excel 2003:

  +   Show How to Do This in Excel 2007:

  +   Show How to Do This in Excel 2010:

Return to the Excel Financial Functions Page

Return to the List of All Built-In Excel Functions

Valid XHTML 1.0 Transitional Valid CSS!
Disclaimer   Privacy Policy
Copyright © 2008-2013 ExcelFunctions.net